Jesus did not establish the Papacy or the Vatican or the huge bureaucracy that developed around this institution. The Papacy and the Vatican evolved over time, many centuries in fact. Some facets of the Vatican are relatively new. Vatican City became an independent entity in 1929 under Mussolini when the Lateran Treaty was signed.
The person who really established Church as a powerful institution headquartered in Rome, is the first Christian Roman Emperor Constantine. Prior to Constantine, Christians were regarded as outlaws and frequently persecuted. Constantine effectively legitimized and institutionalized the Church and oversaw the construction of the Basilica in Rome and oversaw the Council of Nicea, where the creed of the Church was put into effect, something we recite in the Mass to this day.
And increased the inclusion of pagan beliefs, practices, holidays, and vestments. He didn't want to offend the pagans after all.